金融理论与实践
金融理論與實踐
금융이론여실천
FINANCIAL THEORY AND PRACTICE
2015年
1期
90-96
,共7页
证券市场%保荐人%信息披露%非首发%市场敏感性%累积超常收益
證券市場%保薦人%信息披露%非首髮%市場敏感性%纍積超常收益
증권시장%보천인%신식피로%비수발%시장민감성%루적초상수익
stock market%sponsor%information disclosure%non-starter%market sensitivity%cumulative abnormal return
以上市公司非首发保荐人变更信息披露市场敏感性反应作为研究对象，通过理论和实证分析来研究非首发保荐人变更信息披露的市场敏感性反应。研究发现，其窗口期平均累积超常收益率都为负，非首发保荐人变更信息披露引起负的市场敏感性反应；保荐人变更信息披露市场敏感性反应和证券市场类别、上市公司的风险性、收益性、成长性有关系，但不显著。同时还发现保荐人变更信息披露前存在信息泄露，信息披露日前的平均累积超常收益率都为负，说明保荐人变更信息在信息披露前就有了不同程度的泄露，内幕消息让一些投资者提前做出了反应。
以上市公司非首髮保薦人變更信息披露市場敏感性反應作為研究對象，通過理論和實證分析來研究非首髮保薦人變更信息披露的市場敏感性反應。研究髮現，其窗口期平均纍積超常收益率都為負，非首髮保薦人變更信息披露引起負的市場敏感性反應；保薦人變更信息披露市場敏感性反應和證券市場類彆、上市公司的風險性、收益性、成長性有關繫，但不顯著。同時還髮現保薦人變更信息披露前存在信息洩露，信息披露日前的平均纍積超常收益率都為負，說明保薦人變更信息在信息披露前就有瞭不同程度的洩露，內幕消息讓一些投資者提前做齣瞭反應。
이상시공사비수발보천인변경신식피로시장민감성반응작위연구대상，통과이론화실증분석래연구비수발보천인변경신식피로적시장민감성반응。연구발현，기창구기평균루적초상수익솔도위부，비수발보천인변경신식피로인기부적시장민감성반응；보천인변경신식피로시장민감성반응화증권시장유별、상시공사적풍험성、수익성、성장성유관계，단불현저。동시환발현보천인변경신식피로전존재신식설로，신식피로일전적평균루적초상수익솔도위부，설명보천인변경신식재신식피로전취유료불동정도적설로，내막소식양일사투자자제전주출료반응。
This paper took the market reaction sensitivity from the changing information disclose of non-starter sponsor of listed companies as a research object to make the related study from the theory and empirical analysis. According to the result, the author found out that the average cumulative abnor-mal return was negative during the window period, and the changing information disclose of non-starter sponsor was causing the negative market reaction sensitivity. The market reaction sensitivity from the changing information disclose of non-starter sponsor was related with stock market category and the risk, profitability, growth of listed companies which was non-significant. Meanwhile, the author found out that there was existing the information leaks before the changing information disclose of sponsor. The negative average cumulative abnormal return before the changing information disclose of sponsor showed out that the varying degrees of information leakage made some investors react advance.
